The first passage time of a stable process conditioned to not overshoot
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Publication:325892
DOI10.1007/s10959-014-0592-6zbMath1367.60055arXiv1211.3465OpenAlexW3098131209MaRDI QIDQ325892
Publication date: 11 October 2016
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1211.3465
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Stable stochastic processes (60G52)
Cites Work
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